Replication Files for "Heterogeneity and Aggregate Fluctuations"
by Minsu Chang, Xiaohong Chen, and Frank Schorfheide
For questions, please email Minsu Chang at minsu.chang@georgetown.edu

/KS_Filtering_v3/ this directory contains code to compute approximation errors of the linear filter (KF) compared to the nonlinear filter (PF) (Section 3)

/KS_Solution_v2/ this directory contains code to simulate the KS model
/KS_Estimation_MoreLags_K_v2/ this directory contains code to estimate the functional model on KS data (Section 5)

/Empirics_Data/ this directory contains code to prepare the data set used in the empirical analysis.
/Empirics_Estimation_MoreLags_v2/ this directory contains code to estimate the functional model on empirical data (Section 6)


